spb/wp7_uqo Public

1======================================================================2EXTENDED ROBUSTNESS ANALYSES3======================================================================45--- A. WINSORIZATION SENSITIVITY (5-day returns) ---6  None           : R²=0.0335, t_kurt= 13.76, t_pc= -3.59, sig=8/107  0.5%           : R²=0.0510, t_kurt= 36.51, t_pc=-21.31, sig=10/108  1% (baseline)  : R²=0.0529, t_kurt= 40.07, t_pc=-21.48, sig=9/109  2.5%           : R²=0.0577, t_kurt= 43.66, t_pc=-21.32, sig=9/1010  5%             : R²=0.0619, t_kurt= 45.73, t_pc=-20.86, sig=9/101112--- B. NEWEY-WEST LAG SENSITIVITY ---13  1-Day | NW( 5): 4/10 significant at 5%14  1-Day | NW(10): 4/10 significant at 5%15  1-Day | NW(22): 4/10 significant at 5%16  5-Day | NW( 5): 9/10 significant at 5%17  5-Day | NW(10): 9/10 significant at 5%18  5-Day | NW(22): 9/10 significant at 5%1920--- C. RANK-BASED INFORMATION COEFFICIENTS (stocks) ---21  1-Day | iv_atm_30d               : IC=+0.0140, t=   1.84, %>0= 52.222  1-Day | iv_term_slope            : IC=-0.0013, t=  -0.25, %>0= 49.223  1-Day | iv_skew_25d              : IC=+0.0200, t=   3.51, %>0= 53.124  1-Day | implied_skewness         : IC=-0.0018, t=  -0.32, %>0= 50.325  1-Day | implied_kurtosis_proxy   : IC=-0.0083, t=  -1.44, %>0= 49.026  1-Day | pc_volume_ratio          : IC=+0.0133, t=   3.10, %>0= 54.227  1-Day | pc_oi_ratio              : IC=+0.0071, t=   1.56, %>0= 51.028  1-Day | net_gamma_exposure       : IC=-0.0107, t=  -2.17, %>0= 48.129  1-Day | rv_daily                 : IC=-0.0004, t=  -0.06, %>0= 50.030  1-Day | rv_w                     : IC=+0.0019, t=   0.28, %>0= 50.131  5-Day | iv_atm_30d               : IC=+0.0085, t=   1.09, %>0= 53.032  5-Day | iv_term_slope            : IC=+0.0328, t=   6.30, %>0= 54.633  5-Day | iv_skew_25d              : IC=-0.0558, t=  -9.66, %>0= 41.934  5-Day | implied_skewness         : IC=-0.0188, t=  -3.30, %>0= 47.435  5-Day | implied_kurtosis_proxy   : IC=+0.0978, t=  16.77, %>0= 64.336  5-Day | pc_volume_ratio          : IC=-0.0591, t= -13.81, %>0= 37.237  5-Day | pc_oi_ratio              : IC=+0.0170, t=   3.63, %>0= 52.438  5-Day | net_gamma_exposure       : IC=+0.1702, t=  33.99, %>0= 77.839  5-Day | rv_daily                 : IC=+0.0161, t=   2.41, %>0= 52.740  5-Day | rv_w                     : IC=+0.0120, t=   1.73, %>0= 51.24142--- D. DECILE SORTS (D10 - D1, 5-day returns) ---43  Implied Kurtosis          | Quintile (baseline) : ann.ret=  44.04%, Sharpe= 2.328, t=  19.8444  Implied Kurtosis          | Decile              : ann.ret=  52.08%, Sharpe= 2.185, t=  18.5645  Put-Call Volume Ratio     | Quintile (baseline) : ann.ret= -30.29%, Sharpe=-2.478, t= -21.8046  Put-Call Volume Ratio     | Decile              : ann.ret= -33.37%, Sharpe=-2.099, t= -18.4747  Volatility Skew (25d)     | Quintile (baseline) : ann.ret= -37.53%, Sharpe=-1.868, t= -15.9248  Volatility Skew (25d)     | Decile              : ann.ret= -52.51%, Sharpe=-1.896, t= -16.114950--- E. LEAVE-ONE-YEAR-OUT PANEL R² ---51  excl. 2010: 5D-ret R²=0.0537, HAR+IV RV R²=0.485252  excl. 2011: 5D-ret R²=0.0535, HAR+IV RV R²=0.481053  excl. 2012: 5D-ret R²=0.0537, HAR+IV RV R²=0.483154  excl. 2013: 5D-ret R²=0.0538, HAR+IV RV R²=0.480055  excl. 2014: 5D-ret R²=0.0529, HAR+IV RV R²=0.483356  excl. 2015: 5D-ret R²=0.0514, HAR+IV RV R²=0.492257  excl. 2016: 5D-ret R²=0.0520, HAR+IV RV R²=0.484458  excl. 2017: 5D-ret R²=0.0547, HAR+IV RV R²=0.483959  excl. 2018: 5D-ret R²=0.0469, HAR+IV RV R²=0.486160  excl. 2019: 5D-ret R²=0.0540, HAR+IV RV R²=0.485861  excl. 2020: 5D-ret R²=0.0505, HAR+IV RV R²=0.414262  excl. 2021: 5D-ret R²=0.0557, HAR+IV RV R²=0.481763  excl. 2022: 5D-ret R²=0.0500, HAR+IV RV R²=0.478664  excl. 2023: 5D-ret R²=0.0532, HAR+IV RV R²=0.488365  excl. 2024: 5D-ret R²=0.0572, HAR+IV RV R²=0.489566  excl. 2025: 5D-ret R²=0.0573, HAR+IV RV R²=0.49006768--- F. PLACEBO TEST (features permuted within ticker) ---69  Actual R²: 0.0529 (N=119,081)70  Placebo R² over 10 draws: mean=0.000804, max=0.0009827172EXTENDED ROBUSTNESS COMPLETE.73